The answer hinges on remembering the plasmid division of labour in Bacillus anthracis. Two plasmids together confer virulence:
$pXO1 \rightarrow \text{anthrax toxin}$ (protective antigen + lethal factor + edema factor)
$pXO2 \rightarrow \text{poly-D-glutamate capsule}$ (via the capBCADE operon)
The capsule of anthrax is distinctive: instead of a polysaccharide, it is a polypeptide of $\gamma$-linked D-glutamic acid. Being a poor immunogen and resisting opsonophagocytosis, it lets the bacillus evade host defences. Because the question asks where the capsule comes from, the relevant plasmid is the capsule plasmid.
A useful clinical anchor: the Sterne vaccine strain is deliberately $pXO1^{+}, pXO2^{-}$, so it makes toxin (for immunity) but no capsule (so it stays attenuated). Conversely a $pXO1^{-}, pXO2^{+}$ strain is encapsulated but non-toxigenic and also avirulent.
\[\boxed{\text{Capsule of } B.\ anthracis = pXO2}\]